Metode Autoregressive Distributed-Lag (ARDL) dan Vector Error Correction Model (VECM) dalam Analisis Faktor-Faktor Pengaruh Indeks Harga Saham Gabungan (IHSG)

Janedita, Maria Aginami (2023) Metode Autoregressive Distributed-Lag (ARDL) dan Vector Error Correction Model (VECM) dalam Analisis Faktor-Faktor Pengaruh Indeks Harga Saham Gabungan (IHSG). Other thesis, Institut Teknologi Sepuluh Nopember.

Text 06311940000059-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 October 2025. Download (2MB) | Request a copy

Abstract

Pasar modal merupakan salah satu penggerak perekonomian suatu negara atas kemampuannya menyediakan modal dalam jangka panjang dan tanpa batas. Jumlah investor di Indonesia mengalami peningkatan pesat beberapa tahun terakhir. Hal ini membuktikan bahwa investasi sudah menjadi pilihan untuk sarana penanaman modal, menabung, maupun sumber penghasilan. Bursa Efek Indonesia (BEI) menyebutkan bahwa investasi yang banyak diminati adalah investasi saham. Indeks Harga Saham Gabungan (IHSG) merupakan salah satu indeks di BEI yang menunjukkan pergerakan harga saham secara umum serta menjadi acuan tentang perkembangan kegiatan di pasar modal. Pasar modal Indonesia merupakan bagian yang tak terpisahkan dari kegiatan bursa saham global. Oleh karena itu, perubahan di suatu bursa juga akan ditransmisikan ke bursa negara lain sehingga umum bila bursa yang lebih besar akan mempengaruhi bursa yang lebih kecil. Selain indeks saham global, terdapat faktor-faktor lain yang mempengaruhi IHSG, seperti faktor makroekonomi, harga emas dunia, harga minyak dunia, dll. Penelitian ini bertujuan untuk membandingkan metode Vector Autoregressive (VAR) atau Vector Error Correction Model (VECM) dan Autoregressive Distributed-Lag (ARDL) guna mendapatkan metode terbaik dalam menganalisis faktor-faktor yang mempengaruhi IHSG. Terdapat hubungan kausalitas (bolak balik) antara faktor-faktor penelitian, namun tidak ada hubungan antar faktor tersebut dengan IHSG. Juga didapatkan hubungan kointegrasi pada kedua metode ARDL dan VECM. Variabel faktor memiliki pengaruh secara serentak dan dapat menjelaskan sebesar 96,61% variabel IHSG, dimana variabel suku bunga dan harga emas dunia memiliki pengaruh terbesar terhadap IHSG. Metode terbaik yang memberikan nilai AIC terkecil adalah metode ARDL dan model ARDL akan merespons pada perubahan secepat 19,2% per tahun.
====================================================================================================================================
The capital market is one of the key drivers of a country's economy for its ability to provide capital in the long term and without limits. The number of investors in Indonesia has increased rapidly in recent years. This proves that investment has become an option for capital investment, saving, and a source of income. The Indonesia Stock Exchange (IDX) states that the most popular investment is a stock investment. The Indonesia Composite Index (ICI) is one of the indices on the IDX that shows the movement of stock prices in general and is a reference to the development of activities in the capital market. The Indonesian capital market is an integral part of global stock exchange activities. Therefore, changes in an exchange will also be transmitted to the exchanges of other countries so it is common that larger exchanges will affect smaller exchanges. In addition to the global stock index, there are other factors that affect the ICI, such as macroeconomic factors, world gold prices, world oil prices, etc. This study aims to compare the Vector Autoregressive (VAR) or Vector Error Correction Model (VECM) and Autoregressive Distributed-Lag (ARDL) methods to get the best method for analyzing the factors affecting the ICI. This study's results are expected to be considered by investors who will enter the world of capital market investment, especially stocks. There is a causality relationship between the research factors, but there is no relationship between these factors and the IDX. Cointegration relationship is also obtained in both ARDL and VECM methods. Factor variables have a simultaneous influence and can explain 96.61% of the IDX variables, where the world interest rate and gold price variables have the greatest influence on the IDX. The best method that gives the smallest AIC value is the ARDL method and the ARDL model will respond to shock/changes as fast as 19.2% per year.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARDL, IHSG, Indeks Saham Global, Makroekonomi, VECM, ARDL, Global Stock Index, ICI, Macroeconomic, VECM
Subjects:	H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4529 Investment analysis Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Maria Aginami Janedita
Date Deposited:	29 Aug 2023 01:46
Last Modified:	29 Aug 2023 01:46
URI:	http://repository.its.ac.id/id/eprint/100560

Actions (login required)

View Item